Manager - Model Development

About Us: MUFG Bank, Ltd. is Japans premier bank, with a global network spanning in more than 40 markets. Outside of Japan, the bank offers an extensive scope of commercial and investment banking products and services to businesses, governments, and individuals worldwide. MUFG Banks parent, Mitsubishi UFJ Financial Group, Inc. (MUFG) is one of the worlds leading financial groups. Headquartered in Tokyo and with over 360 years of history, the Group has about 120,000 employees and offers services including commercial banking, trust banking, securities, credit cards, consumer finance, asset management, and leasing. The Group aims to be the worlds most trusted financial group through close collaboration among our operating companies and flexibly respond to all the financial needs of our customers, serving society, and fostering shared and sustainable growth for a better world. MUFGs shares trade on the Tokyo, Nagoya, and New York stock exchanges. For more information, visit https://www.mufg.jp/english MUFG Global Service Private Limited Established in 2020, MUFG Global Service Private Limited (MGS) is 100% subsidiary of MUFG having offices in Bengaluru and Mumbai. MGS India has been set up as a Global Capability Centre / Centre of Excellence to provide support services across various functions such as IT, KYC/ AML, Credit, Operations etc. to MUFG Bank offices globally. MGS India has plans to significantly ramp-up its growth over the next 18-24 months while servicing MUFGs global network across Americas, EMEA and Asia Pacific About the Role: Position Title: Quantitative Analyst Corporate Title: Manager Reporting to: Youssef El Otmani Location: Bengaluru Job Profile: Position details : Risk Analytics Group (RAG) is a specialized area within the Risk Department, responsible for Market Risk Models, Capital Models, Counterparty Exposure Models, Credit Models and Initial Margin models. The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer. The successful candidate will be a member of the Counterparty Exposure Metrics sub-team of RAG. The team is responsible for the development and maintenance of the Potential Future Exposure (PFE) models that are used to measure Counterparty Exposure. These models are used for internal control limits and partly in economic capital calculations. The PFE is calculated in Markit fraimWRX cloud platform and covers Rates, FX, Credit, inflation, Equity and Bond Spreads, and covers derivatives, Repo and Securities lending transactions. In addition to the main PFE model, the team also has responsibility for the SIMM model used for Initial Margin, and the simulation model used to measure risk on structured financing trades. The team also covers model validation for the front office xVA model and it enhancements. The candidate will work closely with other team members in RAG, credit risk management, the IT development teams, risk model validators and Front Office. The successful candidate will work in an inclusive and proactive way, ensuring that the team takes the lead in new model development and resolves issues as they arise, communicating clearly in management reports. Roles and Responsibilities: In this role, you will be responsible for counterparty risk modelling across MUFGs banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you. You will: Assist with risk model development and maintenance Develop, maintain and improve counterparty exposure models Design and run model validation tests, for both model assumptions and implementation. Investigate issues and propose changes where there are model weaknesses. Specify and test system changes to implement improvements. Improve existing operational controls around the exposure models and propose new ones to increase robustness. Support business and credit department requests in investigations into exposure calculations for specific trades. Ad-hoc projects as required, including collaboration with market risk analytics and model validation. Prepare summary reporting for working groups and committees that review model performance Investigating issues Ad-hoc projects as required Proactively contribute to wider Risk function initiatives and projects. Job Requirements: Work experience: Essential: Previous experience in pricing models Preferred: Previous experience in exposure models Experience in SIMM model Experience in economic capital Skills and Experience: Required: Understanding of financial markets and products including derivatives Knowledge of principles of derivatives pricing Knowledge of stochastic calculus Familiarity with Python, R, Excel and VBA Desirable: Understanding of counterparty exposure measures such as PFE, EE, CVA Experience in a risk-related role Knowledge of advanced programming languages (C#, C++) Education / Qualifications: Finance or highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above Personal Requirements: Excellent communication skills with the ability to adjust to different audiences. Highly motivated and innovative, able to work on own initiative. Excellent accuracy and attention to detail with an analytical mind-set Good team player with professional attitude Good time management and ability to prioritize. Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects. Strong decision making skills, the ability to demonstrate sound judgment Strong problem solving skills Strong numerical skills Equal Opportunity Employer The MUFG Group is committed to providing equal employment opportunities to all applicants and employees and does not discriminate on the basis of race, colour, national origin, physical appearance, religion, gender expression, gender identity, sex, age, ancestry, marital status, disability, medical condition, sexual orientation, genetic information, or any other protected status of an individual or that individual's associates or relatives, or any other classification protected by the applicable laws.

Location: Mumbai, IN

Posted Date: 9/13/2024